Computational Resources
Since nonlinear optimization is an iterative process that
depends on many factors, it is difficult to estimate
how much computer time is necessary to compute an optimal
solution satisfying one of the termination criteria.
The MAXTIME=, MAXITER=, and MAXFU= options can be used to
restrict the amount of CPU time, the number of iterations,
and the number of function calls in a single run of PROC NLP.
In each iteration k, the NRRIDG and LEVMAR techniques use
symmetric Householder transformations to decompose the
n ×n Hessian (crossproduct Jacobian) matrix G
-
G = V' T V , V : orthogonal , T : tridiagonal
to compute the (Newton) search direction s
-
s(k) = - G(k)-1 g(k) , k = 1,2,3, ... .
The QUADAS, TRUREG, NEWRAP, and HYQUAN techniques use the
Cholesky decomposition to solve the same linear system
while computing the search direction. The QUANEW, DBLDOG,
CONGRA, and NMSIMP techniques do not need to invert or
decompose a Hessian or crossproduct Jacobian matrix and
thus require less computational resources then the first
group of techniques.
The larger the problem, the more time is spent
computing function values and derivatives.
Therefore, many researchers
compare optimization techniques by counting and
comparing the respective numbers of function, gradient, and
Hessian (crossproduct Jacobian) evaluations.
You can save
computer time and memory by specifying derivatives (using
the GRADIENT, JACOBIAN, CRPJAC, or HESSIAN statement)
since you will typically produce a more efficient representation
than the internal derivative compiler.
Finite difference approximations of the derivatives
are expensive since they require additional function or gradient calls:
- Forward-difference formulas:
- First-order derivatives: n additional function
calls are needed.
- Second-order derivatives based on function calls only:
for a dense Hessian, n+n2/2 additional function calls
are needed.
- Second-order derivatives based on gradient calls:
n additional gradient calls are needed.
- Central-difference formulas:
- First-order derivatives: 2n additional function
calls are needed.
- Second-order derivatives based on function calls only:
for a dense Hessian, 2n+2n2 additional function calls
are needed.
- Second-order derivatives based on gradient:
2n additional gradient calls are needed.
Many applications need considerably more time for computing
second-order derivatives (Hessian matrix) than for first-order
derivatives (gradient). In such cases, a (dual) quasi-Newton
or conjugate gradient technique is recommended, that does not
require second-order derivatives.
The following table shows for each optimization technique
which derivatives are needed (FOD: first-order derivatives;
SOD: second-order derivatives), what kind of constraints
are supported (BC: boundary constraints; LIC: linear constraints),
and the minimal memory
(number of double floating point numbers)
required.
For various reasons, there are additionally about 7n+m double floating
point numbers needed.
Quadratic Programming
|
FOD
|
SOD
|
BC
|
LIC
|
Memory
|
LICOMP | - | - | x | x | 18n + 3nn |
QUADAS | - | - | x | x | 1n + 2nn/2 |
General Optimization | FOD | SOD | BC | LIC | Memory |
TRUREG | x | x | x | x | 4n + 2nn/2 |
NEWRAP | x | x | x | x | 2n + 2nn/2 |
NRRIDG | x | x | x | x | 6n + nn/2 |
QUANEW | x | - | x | x | 1n + nn/2 |
DBLDOG | x | - | x | x | 7n + nn/2 |
CONGRA | x | - | x | x | 3n |
NMSIMP | - | - | x | x | 4n + nn |
Least-Squares | FOD | SOD | BC | LIC | Memory |
LEVMAR | x | - | x | x | 6n + nn/2 |
HYQUAN | x | - | x | x | 2n + nn/2 + 3m |
Notes:
- Here, n denotes the number of parameters, nn the squared
number of parameters, and nn/2 := n(n+1)/2.
- The value of m is the product of the number of functions
specified in the MIN, MAX, or LSQ statement and the maximum
number of observation in each BY group of a DATA= input data
set. The following table also contains the number v of
variables in the DATA= data set that are used in the program
statements.
- For a diagonal Hessian matrix, the nn/2 term in QUADAS,
TRUREG, NEWRAP, and NRRIDG is replaced by n.
- If the TRUREG, NRRIDG, or NEWRAP method is used to minimize
a least-squares problem, the second derivatives are replaced
by the crossproduct Jacobian matrix.
- The memory needed by the TECH=NONE specification depends on the
output specifications (typically, it needs 3n+nn/2 double
floating point numbers and an additional mn if the Jacobian
matrix is required).
The total amount of memory needed to run an optimization technique
consists of the technique-specific memory listed in the preceeding table,
plus additional blocks of memory as shown in the following table:
|
double
|
int
|
long
|
8byte
|
Basic Requirement | 7n+m | n | 3n | n+m |
DATA= data set | v | - | - | v |
JACOBIAN | m(n+2) | - | - | - |
CRPJAC statement | nn/2 | - | - | - |
HESSIAN statement | nn/2 | - | - | - |
COV= statement | (2*)nn/2 + n | - | - | - |
Scaling vector | n | - | - | - |
BOUNDS statement | 2n | n | - | - |
Bounds in INEST= | 2n | - | - | - |
LINCON and TRUREG | c(n+1)+nn+ nn/2+4n | 3c | - | - |
LINCON and other | c(n+1)+nn+2nn/2+4n | 3c | - | - |
Notes:
- For TECH=LICOMP, the total amount of memory needed for
the linear or boundary constrained case is
18(n + c) + 3(n + c)(n + c), where c is the number
of constraints.
- The amount of memory needed to specify derivatives
with a GRADIENT, JACOBIAN, CRPJAC, or HESSIAN statement
(shown in this table) is small compared to that needed
for using the internal function compiler to compute the
derivatives. This is especially so for second-order
derivatives.
- If the CONGRA technique is used, specifying the GRADCHECK
[=DETAIL] option requires an additional nn/2 double
floating point numbers to store the finite difference
Hessian matrix.
Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.